Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0246
Annualized Std Dev 0.1724
Annualized Sharpe (Rf=0%) -0.1426

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1339
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0039
Maximum 0.2414
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0109
Skewness 1.2562
Kurtosis 64.0495

Downside Risk

Close
Semi Deviation 0.0077
Gain Deviation 0.0091
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0126
Downside Deviation (Rf=0%) 0.0077
Downside Deviation (0%) 0.0077
Maximum Drawdown 0.6355
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0256
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
1999-02-01 2008-11-21 NA -0.6355 5571 2470 NA
1999-01-07 1999-01-26 1999-01-29 -0.0152 16 13 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 0 0.8 -0.8 0 0 -0.9 0 -1.8 -0.9 0 1 -3.3
2000 0 0 -1.1 -2.1 2.2 1 1 1 1 2.1 0 2.1 7.2
2001 0 0.6 0.5 -1.1 0.9 0.3 0.6 0.6 0.2 0 0.3 -0.2 2.8
2002 -0.3 -0.6 0.3 0.6 0.6 0.6 0.3 0.3 0.6 1.2 -0.2 -0.3 3.3
2003 0.2 0.6 -0.6 0.8 0.3 0.9 -1.3 0 0.9 -0.9 0.2 0.3 1.3
2004 0.6 0.3 1 0 0.8 1 0.6 -0.2 0.2 -0.2 0 0.8 5.1
2005 0.2 0.3 0 -0.3 -0.3 0.3 0.2 0.5 0.2 -0.7 -0.2 0 0.1
2006 0 -0.5 -1 -0.5 0.2 0 0.3 0.2 -0.5 0.5 0.5 0.2 -0.7
2007 0 -0.8 0.2 -0.2 -0.8 0.9 -0.3 1.1 0.5 0.2 1.3 -1 1.1
2008 -0.8 -0.5 -0.5 0.3 0.6 -0.7 0 0.9 -3.9 1.1 -2.6 1 -5
2009 -0.2 2.2 -0.5 2.3 2 1.5 2.3 0.9 -1 -1.3 0.2 0.5 9
2010 1.3 0.6 -0.2 -0.8 0.5 0.6 0.9 0.6 0.7 1.2 -0.2 0.5 6
2011 0.2 -0.2 0 -0.2 0 -0.2 3 2.9 -3.1 0.2 -1.9 1 1.5
2012 -0.2 0.7 0.4 0.7 -0.2 -1.5 0.5 0.9 0.7 0.9 -0.4 1.5 4.1
2013 0 -0.4 0.2 -0.2 0 -0.4 -0.6 0.2 0 0.4 0.4 -1.4 -1.8
2014 -0.4 0.7 -0.7 0 0 0.2 0.2 0 0.4 -0.4 -0.6 -0.4 -0.9
2015 -0.2 0.6 0 -0.2 -0.2 -0.6 1 -0.4 0 1.2 -0.2 0 1
2016 -0.6 0.9 -0.2 0 0.4 0.2 0.8 -0.6 1 -0.8 0.4 0.4 1.9
2017 0 -0.2 0 0.2 0.6 2.1 0.7 0.2 0.4 0.4 0.6 1.1 6.2
2018 -0.2 0.2 1.2 1.1 0.6 1 -0.2 0 0.2 0.8 -0.4 -0.8 3.4
2019 0.6 0.4 -0.4 0.4 -2.3 0.8 -0.2 -0.2 0.2 -0.4 -0.4 -0.2 -1.7
2020 0.4 -2.3 -8.1 -0.4 1.5 0.4 0.4 0.7 1.3 -0.2 0.7 0.9 -5.2
2021 0.2 1.5 0.4 NA NA NA NA NA NA NA NA NA 2.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  8.25 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  8.25 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  8.25 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  8.19 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  8.19 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  8.25 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart